Hi there,
I want to ask a question about any function in r that helps test residuals of
the vector error correction model. I find it on Pfaff(2008) but he tests only
residual for VAR(vector autoregressive model).
I need to workout Portmanteau test, Normality test and Heteroskedasticty for
the VECM. Anyway, Pfaff proposes a diagnostic test for the function vec2var.
But it ends up to test VAR residuals. Is anybody can tell me if it is possible
to use that function to analyse the diagnostic of vecm residuals?
Thank you
Vec2var codes:
vecm.level <- vec2var(vecm1, r = 2)
vecm.norm <- normality(vecm.level)
vecm.arch <- arch(vecm.level)
vecm.serial <- serial(vecm.level)
Diagnostic for VAR
var2c.serial <- serial(VAR)
> var2c.arch <- arch(VAR)
> var2c.norm <- normality(VAR)
I want something like
vecmfemales<-ca.jo(b,type="trace",spec="transitory")
vecm.r2<-serial.test(vecmfemales)
vecm.norm <- normality(vecm.r2) but i receive this message
Error in serial.test(vecmfemale) :
Please provide an object of class 'varest', generated by 'var()', or an object
of class 'vec2var' generated by 'vec2var()'.
By reading this message, i can conclude that there is only 2 ways to make
residuals in R: VAR and vec2var?
Thank you for your answer
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